Forex/Futures spreads in CHF

S

SoCalOptionsWriter

Newbie to Forex again. Thanks for your indulgence. I was wondering what I am missing in the following rough calculation of a spread between the cash Swissie and the Mar futures.

Lets say I long 100K cash at 1.18500 for about 1K margin.
And I short the March futures at 1.19500 for about 2,500 margin.
We're talking an arb here (yeah, sure it can blow out somewhat before the futures expire but an arb is an arb) of about 100 pips, no? Or 1000 CHF?

What do I have wrong?
 
What kind of arb ? You are speculating on the yield curve with that.

The next future is just the actual interest rate difference for that time to the spot reference. You cannot make money with that only. But of course interest rates do change all the time. So in the end you are speculating between on yield curve of two countries. It is not that what you thought I guess.

Do not be foolish you can make sure bets with such arbs you might think of, when you look at exchange quotations. There is more risk involved you might know.

You need to get more familiar with it. Maybe you do a Broker Series III, where such things are taught, which is required for any Futures trader (in an institution).
 
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Better hope one these events (Euro peg lifted) don't happen again :)

! Swiss peg lifted.png
 
TrAndy2022 said:
What kind of arb ? You are speculating on the yield curve with that.

The next future is just the actual interest rate difference for that time to the spot reference. You cannot make money with that only. But of course interest rates do change all the time. So in the end you are speculating between on yield curve of two countries. It is not that what you thought I guess.

Do not be foolish you can make sure bets with such arbs you might think of, when you look at exchange quotations. There is more risk involved you might know.

You need to get more familiar with it. Maybe you do a Broker Series III, where such things are taught, which is required for any Futures trader (in an institution).
More...
Thanks much. Interesting idea, the Series III.
 
SoCalOptionsWriter said:
Newbie to Forex again. Thanks for your indulgence. I was wondering what I am missing in the following rough calculation of a spread between the cash Swissie and the Mar futures.

Lets say I long 100K cash at 1.18500 for about 1K margin.
And I short the March futures at 1.19500 for about 2,500 margin.
We're talking an arb here (yeah, sure it can blow out somewhat before the futures expire but an arb is an arb) of about 100 pips, no? Or 1000 CHF?

What do I have wrong?
More...
LOL you didn't know futures trade at premium to spot? By the time of expiration, that premium will have shrunk to where the two will simply converge at par.
 
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